Market Profile - Daily updates

[Chris_Shaw]

09/17/15 Morning Update

Mkt is in balance and O/N inventory is short. Balance rules apply.
Today is FOMC. From what I read, it is a big one. No doubt going to be chop until then.
The last couple of sessions have left poor structure and there are many longs in this mkt as a result. Something to carry fwd should the mkt begin to break. Take note on the upper extreme of the balance from yesterday: 1981.75. Holding above this may provide continued lift. If this level is rejected all auctions will be to the downside.
Be careful. Good luck.

O/N high 1987.75
O/N low 1980.5 (currently trading around this level. Low may be taken out by the time you are reading this)
Prior pit high 1989
Prior pit low 1967
Settle 1987.75
Volume (very light) 180K as of 0545am PST

 

[Chris_Shaw]

09/17/15 Recap and prep (for 9/18).

Hope your trade today was well. I'm going to forego a full days analysis as today's news event derailed all technicals, etc.

Let's discuss the close. The mkt settled two ticks above the single prints (separating the double distribution in yesterday's profile). I do not think this was by coincidence. Carry this fwd. Multiple distribution rule: which ever distribution price is accepted in, that becomes the bias; e.g., as in this double distribution situation, if price remains accepted in the upper distribution, this is bullish (I know it's obvious, just stating for context).

Next item of interest; the upper extreme of the weekly balance bracket at the 1981 level. This level proved to be a point of contention for the mkt today every time it traded around it. If you view a 5min chart, you could see this price action. In the AM session it served as solid support. Good trade set ups came from this.

Going into tomorrow I will be treating this (1981) level as a go no/go level even if price is accepted in the upper distribution from yesterday's profile.
If price is rejected and we trade/close lower, this will close out the week on a weekly bar with excess at the highs. This would be strong evidence that the upside auction has completed. However, keep in mind that the next auction can be in either direction.
After a day like today, tomorrow the mkt may be just absorbing today and remain in balance. Also, it is quadruple witching tomorrow too. Be weary of late day games traders play on these days.

 

[Chris_Shaw]

09/18/15 Morning Update

Good morning. Overnight trade has the mkt out of balance to the downside with a gap of 18 handles. Gap rules apply today.
1. Go with all gaps that don’t fill right away. That means if it doesn’t back off early it’s probably not going to and is going lower.
2. Large gaps may not fill or may fill only partially on the first day. Pay attention to “halfback” of the gap distance.
3. If the gap fills and value cannot get to at least overlapping, there will probably be a late day rally.

O/N inventory is obviously short. But keep in mind the past 4 days we have been accumulating longs.
Should the gap not fill and we continue to trade to the downside, I have my eye on the very prominent TPO POC from 9/14 at 1941.50

O/N high 1983
O/N low 1953.25
Prior pit high 2011.75
Prior pit low 1972
Settle 1975.25
O/N Volume 433K as of 0550am PST

 

[Chris_Shaw]

09/18/15 Recap and prep (for 9/21).

Higher volume and lower value Friday (adding in that the gap down held too), confirms the day as a very weak. The mkt settled well within the 15 day balance bracket (upper extreme 1981, lower extreme 1889.5).

Thursday was a classic look above (the multi-day balance area) and fail. Friday confirmed that failure. On a weekly timeframe, last week's bar has a confirmed excess high. Excess and balance are the two most important concepts according to Jim Dalton's approach to the Market Profile. I'm using the excess high and the current balance area to form a sideways to down bias. Remember, a look and fail targets the opposite extreme. In this case, that is 1989.5

One of the graphics on the profile today shows how reliable the nuances of the profile can be in determining your entries and exits. I've included notes in the graphic.

 

[Chris_Shaw]

09/21/15 Morning update.

Good morning. Hope everyone's weekend was well. Overnight trade is in balance, and I'm seeing inventory as pretty balanced too. Once again, balance rules apply. (see 9/16 Morning Update for rules if needed).
I was up a little earlier today and notice a rip in the ES right after 4am PST - checking the news, Fed's James Bullard spoke and I guess his comments caused the mkt reaction. We'll see if this continues.
Just be weary of the fact that the mkt has been very weak lately with no confidence in either direction that lasts.

O/N high 1964.25
O/N low 1938.5
Prior pit high 1967.5
Prior pit low 1941.25
Settle 1951.25
O/N volume 217K at 0550am PST.
Have a good day!

 

[Chris_Shaw]

09/21/15 Recap and prep (for 09/22).

Value today migrated from early am overlapping to higher, to balanced, inside of Friday's value area. This morning's attempt to auction outside of balance was a failed attempt. We had a bit of buyers and sellers controlling the mkt at times. I believe this indecision was influenced by the fed speakers today.
We are forming a tight 2 day balance now. I thought we would have more follow through in one direction or the other. So I am left with a neutral bias going into tomorrow. Something to carry keep in your mind is that we are 1 T.F. higher on a weekly basis. This will continue (at least this week) until the low of last week is taken out (1936.5).

****** Conflicting Info******
Positive:
1) 1 T.F. higher on a weekly basis
2) Weekly excess low on the week ending 8/28
Negative:
1) Prices currently being accepted below my personal go no/go price level of 1981
2) 18 day balance on a daily basis (upper extreme: 1981/ lower extreme: 1889.5); balance is low confidence in a mkt.
3) Longer term trend is tired.
4) Weekly excess high on the week ending 9/18

 

[Chris_Shaw]

09/22/15 Morning Update.

All auctions remain to the downside. The confirmed excess high on last weeks bar adds strength to the current direction. Currently trading a 16 handle gap to the downside. Gap rules apply. (reference 9/18 post for gap trading rules).
The closest downside target that I can see is the weekly low from the week ending 9/11. It's suspect because the low was made on Labor Day's shortened session. I don't know if that matters much or not. Just mentioning it. Below that, we have a poor low from 9/4 at 1907.75. Beyond that is the lower extreme of the 18 day balance area at 1889.50.

O/N high 1965
O/N low 1925.75
Prior pit high 1969
Prior pit low 1944.25
Settle 1963.5
Volume 365K (moderate) as of 0600am PST

 

[Chris_Shaw]

09/22/15 Recap and prep (for 9/23).

Attempted direction down, higher volume, lower value implies a very weak market. We're all aware of the current conditions being weak. I believe the game today for traders was to get the stops below the weekly low from the week ending 9/11.
They took out the low but I didnt see any stops elected. The profile leading up to this attempt was shaping up to be a 'b' pattern and also the low today left a poor low. Being so close to another low (the weekly), it is also a weak low (weak references are those that come within a tick of another. Even though we have two ticks between the two lows, the fact that 1 was a weekly ref Im considering it weak).
This is all evidence of day timeframe traders as longer term money isn't aware of these references. This and the fact that had there been longer term money the stops would've been taken out with little resistance. The 'b' patterns and poor lows combined is a classic market profile pattern providing evidence of day timeframe traders getting themselves too short. We now have 2 poor lows to contend with. Today and 9/4.
1 T.F. has ceased on the weekly timeframe. On the daily timeframe we continue to build value lower. Two down gaps have held. The destination still remains the lower extreme of the 19 day balance bracket 1889.50.
With value clearly being accepted with price lower, gap downs, and now two poor lows, I believe that the mkt sentiment is to clean up these poor lows, at the very least.
But with how low confidence is, any good news coming out of another country could spark a forced rally. Keep alert!

 

[Chris_Shaw]

09/23/15 Morning Update.

Good morning. Large range overnight: 31 handles. O/N inventory I see as balanced due to downside trade took place all in one period. The rest of the session has been bid. As of this post we are 2 ticks above prior pit high. We may have some trapped shorts from yesterday (due to the profile shape and poor/weak low). Should we begin trading to the upside at open, they may be squeezed even further. Also, there is a gap that remains to be filled. If the mkt can find acceptance above O/N high, I'm sure traders will try and close the gap.
Carry fwd the 1T.F. lower on a daily basis and that we have ceased 1T.F. higher on a weekly basis.
The conflicting info to be mindful of today is the open gap (cause to close it - upside trade), the two poor lows we have now and yesterdays prominent TPO POC (cause to be repaired by day time session trade - downside trade)

O/N high 1941.75
O/N low 1910.50
Prior pit high 1936.75
Prior pit low 1917.75
Settle 1931.5
Volume 325K as of 0545am PST

 

[Chris_Shaw]

Good morning. Large range overnight: 31 handles. O/N inventory I see as balanced due to downside trade took place all in one period. The rest of the session has been bid. As of this post we are 2 ticks above prior pit high. We may have some trapped shorts from yesterday (due to the profile shape and poor/weak low). Should we begin trading to the upside at open, they may be squeezed even further. Also, there is a gap that remains to be filled. If the mkt can find acceptance above O/N high, I'm sure traders will try and close the gap.
Carry fwd the 1T.F. lower on a daily basis and that we have ceased 1T.F. higher on a weekly basis.
The conflicting info to be mindful of today is the open gap (cause to close it - upside trade), the two poor lows we have now and yesterdays prominent TPO POC (cause to be repaired by day time session trade - downside trade)

O/N high 1941.75
O/N low 1910.50
Prior pit high 1936.75
Prior pit low 1917.75
Settle 1931.5
Volume 325K as of 0545am PST

Opening in balance. Balance Rules apply!

 

[Chris_Shaw]

09/23/15 Recap and prep (for 9/24).

The best trade of the day in my mind was the look above (balance) and fail in 'C' period. I was short with perfect trade location and minimal risk -- all to scratch it. These asymmetric opportunities are some of the most scariest because you're fading the most recent mkt direction. I scratched thinking they were going to close the gap. Oh well, another will come.

The rest of the day remained within yesterday's range. We have a 2 day balance. Value was overlapping to higher today, and technically we have one day of 1 T.F. higher since the low of yesterday wasn't touched. But with value and the POC's in the center of today's range, I'm not putting much weight on the 1 T.F. higher. This mkt has very low confidence.

One thing I want to point out, is the balance trading rule that states, a look above and fail targets the opposite extreme. Traders pushed for that today but couldn't get it past yesterday's POC's (both the TPO and Volume). I've posted a coupld of times how the mkt tends to revisit these naked POC's and are excellent areas to exit a trade with ease. So, once sellers couldn't get anything more for their efforts over periods 'F' and 'G', buyers stepped in an drove the mkt up considerably. All a game.

 

[Chris_Shaw]

09/24/15 Morning Update.

Good morning. Trading out of balance 8-10 handles to the downside overnight. Gap rules apply.
1. Go with all gaps that don’t fill right away.
2. Large gaps may not fill or may fill only partially on the first day. Pay attention to “halfback” of the gap distance.
3. If the gap fills and value cannot get to at least overlapping, there will probably be a late day rally in the direction of the gap.

We are currently below the weekly (ending 9/11) low at 1918.25. This low is two ticks above the poor/weak low - Market Profile anomalies only get repaired during day time trading hours.

Traders could be targeting the lower extreme of the 19 day balance bracket at 1898.50. This is also a poor low.
Remember we have a secure and excess high from the week ending 9/18, supporting the continued intermediate term auction to the downside.
Have a good day.

O/N high 1936.25
O/N low 1907.50
Prior pit high 1938.75
Prior pit low 1920.75
Settle 1929.25
Volume 337K as of 0550am PST

 

[Chris_Shaw]

09/24/15 Recap and prep (for 9/25).

Substantial volume today, 1.9M contracts. Another day of text book examples to discuss about Market Profile concepts.

1) We have 2 handles of excess on the lows, solid evidence of the downside auction at the time being completed. Another term used is the low presented a very nice 'buying tail' with only 81 contracts on the low print.
2) The mkt cleaned up the poor low from 9/4 at the lows too. Once this event was over:
3) The mkt came back to clean up the poor low from 9/22.
4) The mkt closed the gap from today as well, and traders were able to hold price above the Weekly low of 1918.25.

All of the above has me holding somewhat of a short term bullish bias. Excess and balance are the two most important concepts. Today's low presented good excess. However, I'm keeping in mind that there is a definite downtrend on a daily basis (and we are 1T.F. lower, and value is migrating lower). But I take what I saw today as the mkt taking care of the old business at hand, and has good reason (nothing minus a few anomalies to repair on the downside) to continue auctioning to the upside. Anomalies: there are a few from today's profile. But, should be market trade to the upside tomorrow, these anomalies are not an issue. If the market trades to the downside, then they come into focus.

Lastly, as I look at the volume and the excess low, I will be ready tomorrow if the mkt trades to the upside as these two items combined being a combo of exhaustion selling and long accumulation from longer term players.

 

[Chris_Shaw]

09/25/15 Morning update.

Good morning. 18 handle gap to the upside. Gap rules apply:
1. Go with all gaps that don’t fill right away. That means if it doesn’t back off early it’s probably not going to and is going higher.
2. Large gaps (this is one) may not fill or may fill only partially on the first day. Pay attention to “halfback” of the gap distance.
3. If the gap fills and value cannot get to at least overlapping, there will probably be a late day rally.
O/N inventory is 100% long.
O/N high 1951
O/N low 1912.75
Prior pit high 1926.75
Prior pit low 1897.25
Settle 1919.50
Volume 378K as of 0550am PST

 

[Chris_Shaw]

09/28/15 Recap and prep (for 9/29).

We are out of balance on both a weekly and daily level to the downside. Value and the POC's (TPO and Volume) both migrated today with price. This is very weak. Take notice in the profile graphic every rally that caused the cessation of 1T.F. lower was met with sellers. The structure of the profile is not evidence of longer term traders as there were 4 distributions and several anomalies left behind. A profile that displays evidence of longer term traders is usually more symmetric.
However, the volume today was the second highest since we've been in this 20 day balance bracket. I think there was a combination of short and intermediate term traders in today's session.
I have no short term destinations to the downside. The nearest target is the weekly low of 1821.75 from week ending 8/28.
I would say that if we can find acceptance above the balance bracket/ weekly low at 1889.50, this would could cause a short covering rally. Anything else would be negative and the downtrend will very likely continue.

 

[Chris_Shaw]

09/29/15 Morning Update

Overnight session is in balance with O/N Inventory appearing to be balanced as well. Balance rules apply. With yesterday being a large range, today may be rotational as the move from yesterday is digested.

O/N high 1886
O/N low 1861
Prior pit high 1911.75
Prior pit low 1868.75
Settle 1871.5
Volume 353K as of 0545am PST.

 

[Chris_Shaw]

09/29/15 Recap and prep (for 9/30).

Volume almost unchanged, price unchanged and a very prominent TPO POC all translate to a day of balance. The best trade of the day in my view was when buyers ran out when price hit the weekly low of 1889.50 from the week ending 9/4. The rest of the day was spent with an attempted direction being down.
I dont see decent excess on the lows (only 2 ticks), so the current auction to the downside may not be over.

If you review the split profile in detail, you can see how today was alot of two sided games. It was easy to expect because the TPO POC was wide and when it is wide, the odds of continuation in any direction are diminished. Examples:
1) The attempt for the lows of the day beginning in 'F' period. Sellers were successful in keeping the 1 T.F. lower until 'H' period. At the time, price was just below value area low (VAL). Once 'H' opened up, price came back to and through the TPO POC, widening it even further.
2) 'I' period buyers attempted to rally the mkt. Traders unaware of the odds of continuation surely thought price would continue to the upside. Only to have it come back again and through the TPO POC - again widening it even further through 'J' and 'K' periods.
3) The 'G/H' low was a poor low. Intraday this had a possibility of being repaired. It was repaired in the 'K/L' periods.
4) Price continued to the downside, all to come back up and settle at the open.
In all, every period except 1 (L) was a part of the TPO POC.
For now, the mkt has accepted the lower prices. I mentioned yesterday that remaining below the 1889.50 level is negative for the bulls. This proved itself today.

 

[Chris_Shaw]

09/30/15 Morning Update.

Good Morning. The overnight session is out of balance to the upside relative to yesterday. Since the 1898.50 (Weekly low from 9/4) proved to be a level of resistance yesterday, I'm considering it bullish if we can remain above it and bearish if price finds acceptance below it. Currently we have a gap of approx 7 handles.
Gap rules apply today.
1. Go with all gaps that don’t fill right away. That means if it doesn’t back off early it’s probably not going to and is going higher.
2. Large gaps (this is not really one) may not fill or may fill only partially on the first day. Pay attention to “halfback” of the gap distance.
3. If the gap fills and value cannot get to at least overlapping, there will probably be a late day rally.

O/N inventory is net long but not 100%. Inventories are adjusted by trading to the settle. Although an adjustment may only be partial if there is an attempt at correcting it.

Keep in mind also that yesterday's TPO POC (1877) is very prominent. These have a tendency to attract price.

O/N high 1900.25
O/N low 1871.25
Prior pit high 1889.75
Prior pit low 1861.50
Settle 1874.75
Volume 279K as of 0545am PST

 

[Chris_Shaw]

09/30/15 Recap and prep (for 10/1)

According the to table of directional performance from the book Mind Over Markets; today's attempted direction up with lower volume and higher value implies a 'slowing' directional performance. This is where I get the assumptions I post in recaps about the days performance.

Yesterday left a very prominent TPO POC (all but 1 period contributed to it), and today left a prominent TPO POC. (very prominent is determined when 75% or more TPO's create the POC). With this in mind and today's directional performance indicating a 'slowing' mkt, should tomorrow or the next begin to trade to the downside, I will be looking for these POC's to be repaired (remember, TPO POC's are a form of an anomaly, which are repaired by daytime hours only).

Let's discuss today's price action in detail:
The opening drive appeared to be a 'go with' open as the lows were rejected quickly. The high was established on exhaustion volume and profit taking (I use a set of 3 non-correlated proprietary indicators from emini-watch.com in my methodology, one of them identifies exhaustion volume ((buying and selling)). Combined with Market Profile concepts, for me, it really provides an edge). From this point on I was suspicious of upside continuation. I also considered the fact that we had an open gap and O/N inventory net long. After almost an hour of the bulls not getting much at all for the efforts, the mkt liquidated, all the way down to once again, the weekly low that apparently I am not the only trader who is still using this level as a go no/go level (1889.50). Price was rejected below this level and after a short time, it was obvious the bulls took this level as a great price to get long - because the rest of the day (until the last 15 min) was bid.
Another contributing factor to the rally, was rule 3 of gap rules: If the gap closes and value cannot get to at least overlapping, a late day rally in the direction of the gap has favorable odds. Value was never close to overlapping.
Summary: We are back inside the multi-day balance bracket. The last two days I'm viewing as a look below and fail. Balance rules state that when this happens, the opposite extreme becomes the destination. This level is the 1981 level.
I've also drawn (graphics attached) a down trend channel on my Thinkorswim chart (30min) that you may find interesting. I drew another on a daily chart. Tomorrow will be interesting. We've ended Q3 (this month was an inside month) and I'm hoping we start Q4 with a nice rally.
I hope this info has helped at least one person.

 

[Chris_Shaw]

10/01/15 Morning Update

Good morning. O/N inventory is net long. By the time the mkt opens we may or may not be trading a gap. Apply gap rules if there is one. Currently there is a 2 handle gap. Value O/N is in the upper portion of the profile. If we open and continue upside trade, my targets are from 9/25:
1) The single prints at 1928
2) The naked POC at 1936
3) The pit high 1942.5

If we trade back into yesterday's range, targets are:
1) Settle at 1903
2) Naked POC 1900.5
If we get beyond that, then I will incorporate the anomalies left from yesterday into the plan.

O/N high 1929.5
O/N low 1901.25
Prior pit high 1910.50
Prior pit low 1886.5
Settle 1903
Volume 338K as of 0545am PST